Nonlinear spillovers between euro area sovereign bond marketsSilvo Dajčman
, 2015, izvirni znanstveni članek
Opis: This paper examines nonlinear spillover effects between sovereign bond markets of six euro area countries (France, Ireland, Italy, Germany, Portugal, and Spain), four of which were among the hardest hit by the sovereign debt crisis, by applying a nonlinear Granger causality test of Diks and Panchenko (2006). The test is applied on the sovereign bond yield dynamics (i.e. yield changes) time series for the time period from 3 January 2000 - 31 August 2011. We also test for ˝pure˝ spillovers between sovereign bond yield dynamics, i.e. the spillovers after controlling for common and regional factors that impact the sovereign bond yield changes of all countries simultaneously. To verify if the nature of spillovers has changed after the start of the euro are sovereign debt crisis, we test for the nonlinear spillovers for the whole observed period and separately for the period be fore and after the start of the euro area sovereign debt crisis (period from the start of April 2010 until the end of our sample, i.e. 31 August 2011). The results of our study show that strong bi-directional Granger causality exists between the investigated sovereign bond markets. Very similar results are obtained whether the regional and world factors are or are not controlled for. We find strong bi-directional non-linear Granger causality for the investigated euro area countries prior the euro area sovereign debt crisis. After the start of the euro area sovereign debt crisis the interdependence be- tween the markets has reduced. We can no longer detect non-linear spillovers running from Germany and France to the ˝periphery˝ euro area countries. The findings of this study have important implications for the policymakers as they show that shocks spill-over quickly across the sovereign bond markets and the intensity and nature of spillovers can change throughout time. The sovereign bond markets of the ˝core˝ euro area decoupled from the ˝periphery˝ euro area sovereign bond markets after the start of euro are debt crisis. The findings are also of relevance for individual investors in the sovereign bond markets for the purpose of portfolio diversification.
Ključne besede: stock exchanges, bonds, financial crisis, econometric models, EU, sovereign bond markets, spillovers, non-linear Granger causality
Objavljeno: 07.08.2017; Ogledov: 58; Prenosov: 3
Celotno besedilo (409,64 KB)
The CDS and the government bonds markets during the last financial crisisFrance Križanič
, Žan Oplotnik
, 2015, izvirni znanstveni članek
Opis: Financial market had developed a special instrument to insure the buyers of bonds. This instrument is so called Credit Default Swap (CDS). The CDS price is a kind of insurance premium that the buyer of CDS pays to the seller of CDS in exchange for compensation of possible loss in operation. Paper analyses causality between CDS price and dynamics of bond yields and influence of macroeconomic factors on it in four selected countries during the last financial crisis. Analysis results show that there is no important macroeconomic variable included in the analysis that preceded the CDS prices connected with German government bonds. Sellers of CDS were apparently aware of the systemic nature of the financial crisis in the euro area. In the case of the United Kingdom, Russia and Slovenia we can observe the unemployment rate as the most important macroeconomic variable that preceded the CDS prices for government bonds.
Ključne besede: bonds, yield, CDS, international financial markets, macroeconomics
Objavljeno: 05.04.2017; Ogledov: 198; Prenosov: 5
Celotno besedilo (173,94 KB)
Asymmetric correlation of sovereign bond yield dynamics in the EurozoneSilvo Dajčman
, 2013, izvirni znanstveni članek
Opis: This paper examines the symmetry of correlation of sovereign bond yield dynamics between eight Eurozone countries (Austria, Belgium, France, Germany, Ireland, Italy, Portugal, and Spain) in the period from January 3, 2000 to August 31, 2011. Asymmetry of correlation is investigated pair-wise by applying the test of Yongmiao Hong, Jun Tu, and Guofu Zhou (2007). Whereas the test of Hong, Tu, and Zhou (2007) is static, the present paper provides also a dynamic version of the test and identifies time periods when the correlation of Eurozone sovereign bond yield dynamics became asymmetric. We identified seven pairs of sovereign bond markets for which the null hypothesis of symmetry in correlation of sovereign bond yield dynamics can be rejected. Calculating rolling-window exceedance correlation, we found that the time-varying upper- (i.e. for positive yield changes) and lower-tail correlations (i.e. for negative yield changes) for pair-wise observed sovereign bond markets normally follow each other closely, yet during some time periods (for most pair-wise observed countries, these periods are around the September 11 attack on the New York City WTC and around the start of the Greek debt crisis) the difference in correlation does increase. The results show that the upper- and lower-tail correlation was symmetric before the Eurozone debt crisis for most of the pair-wise observed sovereign bond markets but has become much less symmetric since then.
Ključne besede: asymmetric correlation, sovereign bonds, Eurozone, financial crisis
Objavljeno: 03.08.2017; Ogledov: 61; Prenosov: 5
Celotno besedilo (470,77 KB)
Two new zinc(II) acetates with 3- and 4-aminopyridineBrina Dojer
, Andrej Pevec
, Ferdinand Belaj
, Matjaž Kristl
, 2015, izvirni znanstveni članek
Opis: The synthesis and characterization of two new zinc(II) coordination compounds with 3- and 4-aminopyridine are reported. They were obtained after adding a water solution of $Zn(CH_3COO)_2$ · $2H_2O$ or dissolving solid $Zn(CH_3COO)_2$ · $2H_2O$ in methanol solutions of 3- and 4-aminopyridine. The products were characterized structurally by single-crystal X-ray diffraction analysis. Colourless crystals of the compound synthesized by the reaction of $Zn(CH_3COO)_2$ · $2H_2O$ and 3-aminopyridine (3-apy), are built of trinuclear complex molecules with the formula $[Zn_3(O_2CCH_3)_6(3- apy)_2(H_2O)_2]$(1). The molecules consists of two terminal $Zn$ atoms, coordinated tetrahedrally, and one central $Zn$ atom, coordinated octahedrally. Colourless crystals, obtained by the reaction of $Zn(CH_3COO)_2$ · $2H_2O$ with 4-aminopyridine (4-apy), consist of a mononuclear complex $[Zn(O_2CCH_3)_2(4-apy)_2]$(2). Hydrogen-bonding interactions in the crystal structures of both complexes are reported.
Ključne besede: zinc(II) acetate dihydrate, aminopyridine, x-ray crystal structure, hydrogen bonds
Objavljeno: 30.08.2017; Ogledov: 81; Prenosov: 3
Celotno besedilo (1,06 MB)
Testing the performance of cubic splines and Nelson-Siegel model for estimating the zero-coupon yield curveEva Lorenčič
, 2016, izvirni znanstveni članek
Opis: Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of monetary and financial economics. Accurately fitting the term structure of interest rates is the backbone of a smoothly functioning financial market, which is why the testing of various models for estimating and predicting the term structure of interest rates is an important topic in finance that has received considerable attention for many decades. In this paper, we empirically contrast the performance of cubic splines and the Nelson-Siegel model by estimating the zero-coupon yields of Austrian government bonds. The main conclusion that can be drawn from the results of the calculations is that the Nelson-Siegel model outperforms cubic splines at the short end of the yield curve (up to 2 years), whereas for medium-term maturities (2 to 10 years) the fitting performance of both models is comparable.
Ključne besede: Cubic splines, Nelson-Siegel, yield curve, zero-coupon bonds, term structure of interest rates
Objavljeno: 14.11.2017; Ogledov: 30; Prenosov: 3
Celotno besedilo (751,46 KB)